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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file ranluxuniformrng.hpp
\brief "Luxury" random number generator.
*/
#ifndef quantlib_ranlux_uniform_rng_h
#define quantlib_ranlux_uniform_rng_h
#include <ql/methods/montecarlo/sample.hpp>
#include <random>
namespace QuantLib {
//! Uniform random number generator
/*! M. Luescher's "luxury" random number generator
Implementation is a proxy for the corresponding boost random
number generator. For more detail see the boost documentation and:
M.Luescher, A portable high-quality random number generator for
lattice field theory simulations, Comp. Phys. Comm. 79 (1994) 100
Available luxury levels:
Ranlux3: Any theoretically possible correlations have very small change
of being observed.
Ranlux4: highest possible luxury.
*/
template <std::size_t P, std::size_t R>
class Ranlux64UniformRng {
public:
typedef Sample<Real> sample_type;
explicit Ranlux64UniformRng(std::uint_fast64_t seed = 19780503U)
: ranlux_(ranlux64_base_01(seed)) {}
sample_type next() const { return {ranlux_()*nx, 1.0}; }
private:
const double nx = 1.0/(std::uint_fast64_t(1) << 48);
typedef std::subtract_with_carry_engine<std::uint_fast64_t, 48, 10, 24>
ranlux64_base_01;
mutable std::discard_block_engine<ranlux64_base_01, P, R> ranlux_;
};
typedef Ranlux64UniformRng<223, 24> Ranlux3UniformRng;
typedef Ranlux64UniformRng<389, 24> Ranlux4UniformRng;
}
#endif
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